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Tables Fam S
Tables Fam S
Tables Fam S
Exam FAM-S
The reading material for Exam FAM includes a variety of textbooks.
Each text has a set of probability distributions that are used in its readings.
For those distributions used in more than one text, the choices of
parameterization may not be the same in all of the books. This may be of
educational value while you study, but could add a layer of uncertainty in
the examination. For this latter reason, we have adopted one set of
parameterizations to be used in examinations. This set will be based
on Appendices A & B of Loss Models: From Data to Decisions by
Klugman, Panjer and Willmot. A slightly revised version of these
appendices is included in this note. A copy of this note will also be distributed
to each candidate at the examination.
Each text also has its own system of dedicated notation and
terminology. Sometimes these may conflict. If alternative meanings could
apply in an examination question, the symbols will be defined.
1 − 12 x2
The density function for the standard normal distribution is φ ( x) = e .
2π
STANDARD NORMAL DISTRIBUTION TABLE
Entries represent Pr(Z ≤ z). The value of z to the first decimal is given in the left column. The second
decimal is given in the top row.
z 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
0.0 0.5000 0.5040 0.5080 0.5120 0.5160 0.5199 0.5239 0.5279 0.5319 0.5359
0.1 0.5398 0.5438 0.5478 0.5517 0.5557 0.5596 0.5636 0.5675 0.5714 0.5753
0.2 0.5793 0.5832 0.5871 0.5910 0.5948 0.5987 0.6026 0.6064 0.6103 0.6141
0.3 0.6179 0.6217 0.6255 0.6293 0.6331 0.6368 0.6406 0.6443 0.6480 0.6517
0.4 0.6554 0.6591 0.6628 0.6664 0.6700 0.6736 0.6772 0.6808 0.6844 0.6879
0.5 0.6915 0.6950 0.6985 0.7019 0.7054 0.7088 0.7123 0.7157 0.7190 0.7224
0.6 0.7257 0.7291 0.7324 0.7357 0.7389 0.7422 0.7454 0.7486 0.7517 0.7549
0.7 0.7580 0.7611 0.7642 0.7673 0.7704 0.7734 0.7764 0.7794 0.7823 0.7852
0.8 0.7881 0.7910 0.7939 0.7967 0.7995 0.8023 0.8051 0.8078 0.8106 0.8133
0.9 0.8159 0.8186 0.8212 0.8238 0.8264 0.8289 0.8315 0.8340 0.8365 0.8389
1.0 0.8413 0.8438 0.8461 0.8485 0.8508 0.8531 0.8554 0.8577 0.8599 0.8621
1.1 0.8643 0.8665 0.8686 0.8708 0.8729 0.8749 0.8770 0.8790 0.8810 0.8830
1.2 0.8849 0.8869 0.8888 0.8907 0.8925 0.8944 0.8962 0.8980 0.8997 0.9015
1.3 0.9032 0.9049 0.9066 0.9082 0.9099 0.9115 0.9131 0.9147 0.9162 0.9177
1.4 0.9192 0.9207 0.9222 0.9236 0.9251 0.9265 0.9279 0.9292 0.9306 0.9319
1.5 0.9332 0.9345 0.9357 0.9370 0.9382 0.9394 0.9406 0.9418 0.9429 0.9441
1.6 0.9452 0.9463 0.9474 0.9484 0.9495 0.9505 0.9515 0.9525 0.9535 0.9545
1.7 0.9554 0.9564 0.9573 0.9582 0.9591 0.9599 0.9608 0.9616 0.9625 0.9633
1.8 0.9641 0.9649 0.9656 0.9664 0.9671 0.9678 0.9686 0.9693 0.9699 0.9706
1.9 0.9713 0.9719 0.9726 0.9732 0.9738 0.9744 0.9750 0.9756 0.9761 0.9767
2.0 0.9772 0.9778 0.9783 0.9788 0.9793 0.9798 0.9803 0.9808 0.9812 0.9817
2.1 0.9821 0.9826 0.9830 0.9834 0.9838 0.9842 0.9846 0.9850 0.9854 0.9857
2.2 0.9861 0.9864 0.9868 0.9871 0.9875 0.9878 0.9881 0.9884 0.9887 0.9890
2.3 0.9893 0.9896 0.9898 0.9901 0.9904 0.9906 0.9909 0.9911 0.9913 0.9916
2.4 0.9918 0.9920 0.9922 0.9925 0.9927 0.9929 0.9931 0.9932 0.9934 0.9936
2.5 0.9938 0.9940 0.9941 0.9943 0.9945 0.9946 0.9948 0.9949 0.9951 0.9952
2.6 0.9953 0.9955 0.9956 0.9957 0.9959 0.9960 0.9961 0.9962 0.9963 0.9964
2.7 0.9965 0.9966 0.9967 0.9968 0.9969 0.9970 0.9971 0.9972 0.9973 0.9974
2.8 0.9974 0.9975 0.9976 0.9977 0.9977 0.9978 0.9979 0.9979 0.9980 0.9981
2.9 0.9981 0.9982 0.9982 0.9983 0.9984 0.9984 0.9985 0.9985 0.9986 0.9986
3.0 0.9987 0.9987 0.9987 0.9988 0.9988 0.9989 0.9989 0.9989 0.9990 0.9990
3.1 0.9990 0.9991 0.9991 0.9991 0.9992 0.9992 0.9992 0.9992 0.9993 0.9993
3.2 0.9993 0.9993 0.9994 0.9994 0.9994 0.9994 0.9994 0.9995 0.9995 0.9995
3.3 0.9995 0.9995 0.9995 0.9996 0.9996 0.9996 0.9996 0.9996 0.9996 0.9997
3.4 0.9997 0.9997 0.9997 0.9997 0.9997 0.9997 0.9997 0.9997 0.9997 0.9998
3.5 0.9998 0.9998 0.9998 0.9998 0.9998 0.9998 0.9998 0.9998 0.9998 0.9998
3.6 0.9998 0.9998 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999
3.7 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999
3.8 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999
3.9 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000
A.1 Introduction
The incomplete gamma function is given by
Z x
1
Γ(α; x) = tα−1 e−t dt, α > 0, x > 0,
Γ(α) 0
with Z ∞
Γ(α) = tα−1 e−t dt, α > 0.
0
Also, define Z ∞
G(α; x) = tα−1 e−t dt, x > 0.
x
At times we will need this integral for nonpositive values of α. Integration by parts produces
the relationship
xα e−x 1
G(α; x) = − + G(α + 1; x).
α α
This process can be repeated until the first argument of G is α + k, a positive number.
Then it can be evaluated from
Γ(a + b) x a−1
Z
β(a, b; x) = t (1 − t)b−1 dt, a > 0, b > 0, 0 < x < 1.
Γ(a)Γ(b) 0
2
A.2 Transformed Beta Family
Γ(α + τ ) θα xτ −1 x
f (x) = , F (x) = β(τ, α; u), u = ,
Γ(α)Γ(τ ) (x + θ)α+τ x+θ
θk Γ(τ + k)Γ(α − k)
E[X k ] = , −τ < k < α,
Γ(α)Γ(τ )
θk τ (τ + 1) · · · (τ + k − 1)
E[X k ] = if k is a positive integer,
(α − 1) · · · (α − k)
θk Γ(τ + k)Γ(α − k)
E[(X ∧ x)k ] = β(τ + k, α − k; u) + xk [1 − F (x)], k > −τ,
Γ(α)Γ(τ )
τ −1
Mode = θ , τ > 1, else 0.
α+1
A.2.2.2 Burr—α, θ, γ
αγ(x/θ)γ 1
f (x) = , F (x) = 1 − uα , u= ,
x[1 + (x/θ)γ ]α+1 1 + (x/θ)γ
VaRp (X) = θ[(1 − p)−1/α − 1]1/γ ,
θk Γ(1 + k/γ)Γ(α − k/γ)
E[X k ] = , −γ < k < αγ,
Γ(α)
θk Γ(1 + k/γ)Γ(α − k/γ)
E[(X ∧ x)k ] = β(1 + k/γ, α − k/γ; 1 − u) + xk uα , k > −γ,
Γ(α)
γ − 1 1/γ
Mode = θ , γ > 1, else 0.
αγ + 1
3
A.2.2.3 Inverse Burr—τ, θ , γ
τ γ(x/θ)γτ (x/θ)γ
f (x) = , F (x) = uτ , u= ,
x[1 + (x/θ)γ ]τ +1 1 + (x/θ)γ
VaRp (X) = θ(p−1/τ − 1)−1/γ ,
θk Γ(τ + k/γ)Γ(1 − k/γ)
E[X k ] = , −τ γ < k < γ,
Γ(τ )
θk Γ(τ + k/γ)Γ(1 − k/γ)
E[(X ∧ x)k ] = β(τ + k/γ, 1 − k/γ; u) + xk [1 − uτ ], k > −τ γ,
Γ(τ )
τ γ − 1 1/γ
Mode = θ , τ γ > 1, else 0.
γ+1
4
A.2.3.2 Inverse Pareto—τ, θ
τ
τ θxτ −1
x
f (x) = , F (x) = ,
(x + θ)τ +1 x+θ
VaRp (X) = θ[p−1/τ − 1]−1 ,
θk Γ(τ + k)Γ(1 − k)
E[X k ] = , −τ < k < 1,
Γ(τ )
θk (−k)!
E[X k ] = if k is a negative integer,
(τ − 1) · · · (τ + k)
Z x/(x+θ) τ
k k τ +k−1 −k k x
E[(X ∧ x) ] = θ τ y (1 − y) dy + x 1 − , k > −τ,
0 x+θ
τ −1
Mode = θ , τ > 1, else 0.
2
A.2.3.3 Loglogistic—γ, θ
(Fisk)
γ(x/θ)γ (x/θ)γ
f (x) = , F (x) = u, u= ,
x[1 + (x/θ)γ ]2 1 + (x/θ)γ
VaRp (X) = θ(p−1 − 1)−1/γ ,
E[X k ] = θk Γ(1 + k/γ)Γ(1 − k/γ), −γ < k < γ,
E[(X ∧ x) ] = θ Γ(1 + k/γ)Γ(1 − k/γ)β(1 + k/γ, 1 − k/γ; u) + xk (1 − u),
k k
k > −γ,
γ − 1 1/γ
Mode = θ , γ > 1, else 0.
γ+1
A.2.3.4 Paralogistic—α, θ
This is a Burr distribution with γ = α.
α2 (x/θ)α 1
f (x) = , F (x) = 1 − uα , u= ,
x[1 + (x/θ)α ]α+1 1 + (x/θ)α
VaRp (X) = θ[(1 − p)−1/α − 1]1/α ,
θk Γ(1 + k/α)Γ(α − k/α)
E[X k ] = , −α < k < α2 ,
Γ(α)
θk Γ(1 + k/α)Γ(α − k/α)
E[(X ∧ x)k ] = β(1 + k/α, α − k/α; 1 − u) + xk uα , k > −α,
Γ(α)
α − 1 1/α
Mode = θ , α > 1, else 0.
α2 + 1
5
A.2.3.5 Inverse Paralogistic—τ, θ
2
τ 2 (x/θ)τ (x/θ)τ
f (x) = , F (x) = uτ , u= ,
x[1 + (x/θ)τ ]τ +1 1 + (x/θ)τ
VaRp (X) = θ(p−1/τ − 1)−1/τ ,
θk Γ(τ + k/τ )Γ(1 − k/τ )
E[X k ] = , −τ 2 < k < τ,
Γ(τ )
θk Γ(τ + k/τ )Γ(1 − k/τ )
E[(X ∧ x)k ] = β(τ + k/τ, 1 − k/τ ; u) + xk [1 − uτ ], k > −τ 2 ,
Γ(τ )
Mode = θ (τ − 1)1/τ , τ > 1, else 0.
A.3.2.1 Gamma—α, θ
(x/θ)α e−x/θ
f (x) = , F (x) = Γ(α; x/θ),
xΓ(α)
θk Γ(α + k)
E[X k ] = , k > −α,
Γ(α)
E[X k ] = θk (α + k − 1) · · · α if k is a positive integer,
θk Γ(α + k)
E[(X ∧ x)k ] = Γ(α + k; x/θ) + xk [1 − Γ(α; x/θ)], k > −α,
Γ(α)
E[(X ∧ x)k ] = α(α + 1) · · · (α + k − 1)θk Γ(α + k; x/θ)
+ xk [1 − Γ(α; x/θ)] if k is a positive integer,
−α
M (t) = (1 − θt) , t < 1/θ,
Mode = θ(α − 1), α > 1, else 0.
6
A.3.2.2 Inverse Gamma—α, θ
(Vinci)
(θ/x)α e−θ/x
f (x) = , F (x) = 1 − Γ(α; θ/x),
xΓ(α)
θk Γ(α − k)
E[X k ] = , k < α,
Γ(α)
θk
E[X k ] = if k is a positive integer,
(α − 1) · · · (α − k)
θk Γ(α − k)
E[(X ∧ x)k ] = [1 − Γ(α − k; θ/x)] + xk Γ(α; θ/x)
Γ(α)
θk G(α − k; θ/x)
= + xk Γ(α; θ/x), all k,
Γ(α)
Mode = θ/(α + 1).
A.3.2.3 Weibull—θ, τ
τ
τ (x/θ)τ e−(x/θ) τ
f (x) = , F (x) = 1 − e−(x/θ) ,
x
VaRp (X) = θ[− ln(1 − p)]1/τ ,
E[X k ] = θk Γ(1 + k/τ ), k > −τ,
τ
E[(X ∧ x) ] = θ Γ(1 + k/τ )Γ[1 + k/τ ; (x/θ)τ ] + xk e−(x/θ) ,
k k
k > −τ,
τ − 1 1/τ
Mode = θ , τ > 1, else 0.
τ
7
A.3.3 One-Parameter Distributions
A.3.3.1 Exponential—θ
e−x/θ
f (x) = , F (x) = 1 − e−x/θ ,
θ
VaRp (X) = −θ ln(1 − p),
E[X k ] = θk Γ(k + 1), k > −1,
k k
E[X ] = θ k! if k is a positive integer,
E[X ∧ x] = θ(1 − e−x/θ ),
TVaRp (X) = −θ ln(1 − p) + θ,
E[(X ∧ x)k ] = θk Γ(k + 1)Γ(k + 1; x/θ) + xk e−x/θ , k > −1,
k k k −x/θ
E[(X ∧ x) ] = θ k!Γ(k + 1; x/θ) + x e if k > −1 is an integer,
−1
M (z) = (1 − θz) , z < 1/θ,
Mode = 0.
θe−θ/x
f (x) = , F (x) = e−θ/x ,
x2
VaRp (X) = θ(− ln p)−1 ,
E[X k ] = θk Γ(1 − k), k < 1,
E[(X ∧ x) ] = θ G(1 − k; θ/x) + xk (1 − e−θ/x ),
k k
all k,
Mode = θ/2.
1 ln x − µ
f (x) = √ exp(−z 2 /2) = φ(z)/(σx), z= ,
xσ 2π σ
F (x) = Φ(z),
E[X k ] = exp kµ + 21 k 2 σ 2 ,
ln x − µ − kσ 2
k 1 2 2
+ xk [1 − F (x)],
E[(X ∧ x) ] = exp kµ + 2 k σ Φ
σ
Mode = exp(µ − σ 2 ).
8
A.5.1.2 Inverse Gaussian—µ, θ
1/2
θz 2
θ x−µ
f (x) = 3
exp − , z= ,
2πx 2x µ
" # " 1/2 #
θ 1/2 2θ θ x+µ
F (x) = Φ z + exp Φ −y , y= ,
x µ x µ
E[X] = µ, Var[X] = µ3 /θ,
k−1
X (k + n − 1)! µn+k
E[X k ] = , k = 1, 2, . . . ,
(k − n − 1)!n! (2θ)n
n=0
" # " #
θ 1/2 θ 1/2
E[X ∧ x] = x − µzΦ z − µy exp(2θ/µ)Φ −y ,
x x
" r !#
θ 2µ2 θ
M (z) = exp 1− 1− z , z < 2.
µ θ 2µ
A.5.1.3 Log-t—r, µ, σ
9
A.5.1.4 Single-Parameter Pareto—α, θ
α
αθα θ
f (x) = , x > θ, F (x) = 1 − , x > θ,
xα+1 x
VaRp (X) = θ(1 − p)−1/α ,
αθk
E[X k ] = , k < α,
α−k
αθk kθα
E[(X ∧ x)k ] = − , x ≥ θ, k 6= α,
α − k (α − k)xα−k
E[(X ∧ x)α ] = θα [1 + α ln(x/θ)],
αθ(1 − p)−1/α
TVaRp (X) = , α > 1,
α−1
Mode = θ.
Note: Although there appear to be two parameters, only α is a true parameter. The
value of θ must be set in advance.
Γ(a + b) a τ
f (x) = u (1 − u)b−1 , 0 < x < θ, u = (x/θ)τ ,
Γ(a)Γ(b) x
F (x) = β(a, b; u),
θk Γ(a + b)Γ(a + k/τ )
E[X k ] = , k > −aτ,
Γ(a)Γ(a + b + k/τ )
θk Γ(a + b)Γ(a + k/τ )
E[(X ∧ x)k ] = β(a + k/τ, b; u) + xk [1 − β(a, b; u)].
Γ(a)Γ(a + b + k/τ )
10
A.6.1.2 Beta—a, b, θ
The case θ = 1 has no special name but is the commonly used version of this distribution.
Γ(a + b) a 1
f (x) = u (1 − u)b−1 , 0 < x < θ, u = x/θ,
Γ(a)Γ(b) x
F (x) = β(a, b; u),
θk Γ(a + b)Γ(a + k)
E[X k ] = , k > −a,
Γ(a)Γ(a + b + k)
θk a(a + 1) · · · (a + k − 1)
E[X k ] = if k is a positive integer,
(a + b)(a + b + 1) · · · (a + b + k − 1)
θk a(a + 1) · · · (a + k − 1)
E[(X ∧ x)k ] = β(a + k, b; u)
(a + b)(a + b + 1) · · · (a + b + k − 1)
+xk [1 − β(a, b; u)].
11
Appendix B
When the method of moments is used to determine the starting value, a circumflex (e.g., λ̂)
is used. For any other method, a tilde (e.g., λ̃) is used. When the starting value formulas
do not provide admissible parameter values, a truly crude guess is to set the product of
all λ and β parameters equal to the sample mean and set all other parameters equal to 1.
If there are two λ or β parameters, an easy choice is to set each to the square root of the
sample mean.
The last item presented is the probability generating function,
P (z) = E[z N ].
12
B.2 The (a, b, 0) Class
The distributions in this class have support on 0, 1, . . . . For this class, a particular distri-
bution is specified by setting p0 and then using pk = (a + b/k)pk−1 . Specific members are
created by setting p0 , a, and b. For any member, µ(1) = (a + b)/(1 − a), and for higher j,
µ(j) = (aj + b)µ(j−1) /(1 − a). The variance is (a + b)/(1 − a)2 .
B.2.1.1 Poisson—λ
e−λ λk
p0 = e−λ , a = 0, b = λ, pk = ,
k!
E[N ] = λ, Var[N ] = λ,
λ̂ = µ̂,
P (z) = eλ(z−1) .
B.2.1.2 Geometric—β
1 β βk
p0 = , a= , b = 0, pk = ,
1+β 1+β (1 + β)k+1
E[N ] = β, Var[N ] = β(1 + β),
β̂ = µ̂,
P (z) = [1 − β(z − 1)]−1 , −(1 + 1/β) < z < 1 + 1/β.
B.2.1.3 Binomial—q, m
q (m + 1)q
p0 = (1 − q)m , a = − , b= ,
1−q 1−q
m k
pk = q (1 − q)m−k , k = 0, 1, . . . , m,
k
E[N ] = mq, Var[N ] = mq(1 − q),
q̂ = µ̂/m,
P (z) = [1 + q(z − 1)]m .
13
B.2.1.4 Negative Binomial—β, r
β (r − 1)β
p0 = (1 + β)−r , a= , b= ,
1+β 1+β
r(r + 1) · · · (r + k − 1)β k
pk = ,
k!(1 + β)r+k
E[N ] = rβ, Var[N ] = rβ(1 + β),
σ̂ 2 µ̂2
β̂ = − 1, r̂ = 2 ,
µ̂ σ̂ − µ̂
P (z) = [1 − β(z − 1)]−r , −(1 + 1/β) < z < 1 + 1/β.
14
B.3.1.1 Zero-Truncated Poisson—λ
λ
pT1 = , a = 0, b = λ,
eλ −1
λk
pTk = ,
k!(eλ − 1)
E[N ] = λ/(1 − e−λ ), Var[N ] = λ[1 − (λ + 1)e−λ ]/(1 − e−λ )2 ,
λ̃ = ln(nµ̂/n1 ),
eλz − 1
P (z) = .
eλ − 1
1 β
pT1 = , a= , b = 0,
1+β 1+β
β k−1
pTk = ,
(1 + β)k
E[N ] = 1 + β, Var[N ] = β(1 + β),
β̂ = µ̂ − 1,
[1 − β(z − 1)]−1 − (1 + β)−1
P (z) = , −(1 + 1/β) < z < 1 + 1/β.
1 − (1 + β)−1
B.3.1.3 Logarithmic—β
β β β
pT1 = , a= , b=− ,
(1 + β) ln(1 + β) 1+β 1+β
βk
pTk = ,
k(1 + β)k ln(1 + β)
β[1 + β − β/ ln(1 + β)]
E[N ] = β/ ln(1 + β), Var[N ] = ,
ln(1 + β)
nµ̂ 2(µ̂ − 1)
β̃ = − 1 or ,
n1 µ̂
ln[1 − β(z − 1)]
P (z) = 1− , −(1 + 1/β) < z < 1 + 1/β.
ln(1 + β)
15
B.3.1.4 Zero-Truncated Binomial—q, m,
(0 < q < 1, m an integer)
rβ β (r − 1)β
pT1 = , a= , b= ,
(1 + β)r+1 − (1 + β) 1+β 1+β
k
r(r + 1) · · · (r + k − 1) β
pTk = ,
k![(1 + β)r − 1] 1+β
rβ
E[N ] = ,
1 − (1 + β)−r
rβ[(1 + β) − (1 + β + rβ)(1 + β)−r ]
Var[N ] = ,
[1 − (1 + β)−r ]2
σ̂ 2 µ̂2
β̃ = − 1, r̃ = 2 ,
µ̂ σ̂ − µ̂
[1 − β(z − 1)]−r − (1 + β)−r
P (z) = , −(1 + 1/β) < z < 1 + 1/β.
1 − (1 + β)−r
This distribution is sometimes called the extended truncated negative binomial distri-
bution because the parameter r can extend below zero.
16
B.3.2 The Zero-Modified Subclass
A zero-modified distribution is created by starting with a truncated distribution and then
placing an arbitrary amount of probability at zero. This probability, pM 0 , is a parameter.
The remaining probabilities are adjusted accordingly. Values of pM k can be determined
from the corresponding zero-truncated distribution as pM k = (1 − p M )pT or from the corre-
0 k
sponding (a, b, 0) distribution as pM
k = (1 − p M )p /(1 − p ). The same recursion used for
0 k 0
the zero-truncated subclass applies.
The mean is 1 − pM 0 times the mean for the corresponding zero-truncated distribution.
The variance is 1 − p0 times the zero-truncated variance plus pM
M M
0 (1 − p0 ) times the square
of the zero-truncated mean. The probability generating function is P M (z) = pM 0 + (1 −
M
p0 )P (z), where P (z) is the probability generating function for the corresponding zero-
truncated distribution.
The maximum likelihood estimator of pM 0 is always the sample relative frequency at
zero.
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